Moretto, E. and Pasquali, S. and Trivellato, B. and Corvasce, C. (2004) Application of a stochastic volatility model to options on exchange rate. Technical Report. CNR. Imati. Sezione di Milano, Milano, IT. (Unpublished)
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Abstract
We consider a stochastic volatility model proposed by Moretto, Pasquali and Trivellato (2004) and make a numerical analysis of various aspects of this model such as sensitivity to different parameters and the effects on option prices. This analysis highlights that the model is sufficiently general and can cover a wide range of cases. Another foundamental aspect, here discussed, is the calibration of the model, in fact it is important to know the parameter values which give a good approximation of option market prices.
| Item Type: | Monograph (Technical Report) |
|---|---|
| Uncontrolled Keywords: | option pricing, stochastic volatility, calibration |
| Subjects: | 500 Scienze naturali e Matematica > 510 Matematica |
| Depositing User: | biblioteca 3 |
| Date Deposited: | 15 Mar 2006 |
| Last Modified: | 20 May 2010 12:00 |
| URI: | http://eprints.bice.rm.cnr.it/id/eprint/144 |
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